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st: -robust- of time series data

From   Eddy <[email protected]>
To   [email protected]
Subject   st: -robust- of time series data
Date   Wed, 1 Oct 2003 09:24:12 -0700 (PDT)

A perhaps naive question: Does it make sense to use the -robust-
option (sandwitch variance estimate) in a ML estimation of a time
series model? What is the variance estimates robust to in this case?
Serial correlations? Thanks.


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